Abstract
The purpose of this paper is to draw the attention of the nonsmooth analysis and mathematical finance communities to the scope for applications of nonsmooth optimization to finance by studying in detail two illustrative examples. The first concerns the maximization of a terminal utility function in an investment problem with transaction costs. The second concerns the calculation of the duration of a bond for general term structures of interest rates. The emphasis is on methodology.
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Vinter, R.B., Zheng, H. Some Finance Problems Solved with Nonsmooth Optimization Techniques. Journal of Optimization Theory and Applications 119, 1–18 (2003). https://doi.org/10.1023/B:JOTA.0000005037.49022.1a
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DOI: https://doi.org/10.1023/B:JOTA.0000005037.49022.1a